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Luhunlu · 2021年09月19日

老师,我有点分不清LIBOR和FRA的相减顺序

NO.PZ2019010402000015

问题如下:

The company enters into a $100,000,000 notional amount 2 × 5 receive-fixed FRA that is advanced set, advanced settled. The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%, 60-day Libor is 0.7%.

If the FRA was initially priced at 1.20%, the payment received to settle the 2 × 5 FRA will be:

选项:

A.

100,000

B.

99,626

C.

99,800

解释:

B is correct.

考点:FRA settlement

解析:

payment received=(1.2%0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }received=\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4

注:题目中特别说明了折现率是1.5%,所以直接用1.5%折现,不用90天的LIBOR折现。

我的理解是:

这道题目是Fixed received=floating paid即short position,所以payment received=received-paid=fixed-float=FRA-L60(90)

那么是不是如果求的是payment paid,就是paid-received=L60(90)- FRA呢?

是不是计算如图中所示?


谢谢老师啦!

1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年09月23日

嗨,努力学习的PZer你好:


那主要看题目怎么描述。


本题中说整个公司进入的是一个receive-fixed FRA,也就是说收固定,支浮动,

FRA的定价1.2%就是收的固定利率,Libor的0.8%就是支出的浮动利率,所以用1.2%-0.8%。如果题目是receive float 那就是0.8-1.2了

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